StockFetcher Forums · View by Author: Kevin_in_GA (3,380 messages) ·  [ Display By: Date / Subject ]<< 1 2 3 4 5 ... 338 >> 
General Discussion · SF - Can you make the following part of the syntax?
Kevin_in_GA
msg #121783
10/24/2014 3:26:12 PM

yes and no - I want to know the number of stocks that had this particular event occur, and take that number and perform further analysis on it just like any other indicator output.

Think of it like this

Fetcher[
S&P 500
rsi(2) below 10
]



Today this gives only 1 stock out of the entire S&P 500 (AMZN). But two weeks ago there were 131 stocks that met this criterion. That information could be plotted over time to show trends in the market - or you could put BBs around this data and look for oversold/overbought signals based on the market components rather than the SPY as an individual stock.

The fact is that other programs (specifically Stratasearch) provide exactly this functionality, and there is no valid reason why SF could not as well.

General Discussion · SF - Can you make the following part of the syntax?
Kevin_in_GA
msg #121766
10/24/2014 11:42:18 AM

True - but there is no reason for them to ignore requests that come from (and through) the forums. I have little doubt that they have already seen this, but for some reason feel no need to respond to requests made in the forums. Just look at how many unanswered requests are still in the Backtesting forum.

Nonetheless I still try to get them to engage here since I think the other forum members can benefit more directly.

Stock Picks and Trading · What happened to the forum?
Kevin_in_GA
msg #121765
10/24/2014 11:24:04 AM

I would agree with Eman on this as well - the forums have gone from a place where ideas and trades are shared to one where one inflated ego talks trash about other traders. Not cool.

It's fine to feel good about your trading. But no one ever improved their own skills by trashing others.

General Discussion · SF - Can you make the following part of the syntax?
Kevin_in_GA
msg #121756
10/23/2014 2:23:59 PM

Just wondering (as have others before me) as to whether or not you can add to the surrent filter langauge a function that would return the absolute number of stocks that meet a specific criterion. For example, the number of S&P 500 stocks that traded down for the day, or those that had an rsi(2) less than 10.

In this manner, one could develop market based health metrics that could be useful to traders. I would envision a function something like the following:

numsymbols("MARKET","CONDITION TO BE MET")

This could accept user-defined variables or be used in set{} statements and functions like count(), cma(), etc.

So it might look like

numsymbols(S&P 500, rsi(2) below 10)

or

numsymbols(S&P 500, rsi(2) below 10) below cma(numsymbols(S&P 500, rsi(2) below 10),20)

this would return the number of S&P 500 stocks that had an rsi(2) below 10 or in the second case whether or not this number was above/below its 20 day moving average.

Can this be done?

Kevin

Stock Picks and Trading · What happened to the forum?
Kevin_in_GA
msg #121755
10/23/2014 1:35:06 PM

Partly I think the recent volatility has caused usually skilled traders to take some hard losses - I know that my systems over at Collective2 took a drubbing over the last two months. Only the iron condor system was not beat up (that one did quite well). No one likes to post their mistakes, and I think that has been happening a lot more of late.

The other observation is that this board seems to be focusing on individual stocks rather than systems and filter development. I spent much of my first few years here learning the syntax, and developing and sharing a bunch of trading concepts (some of which actually worked). I don't really post that much any more unless I have something to add to the forum, and lately I have been focused on other areas.

As to the old guard departing, I think that the forums are diminishing in overall value when folks like Chetron and TRO leave. Other here will make snide comments regarding them, but the truth is they passed on knowledge to other traders that I no longer see happening here. A shame.

General Discussion · Problem with basic "new high/new low" scan
Kevin_in_GA
msg #121742
10/19/2014 12:08:19 PM

Fetcher[
close equals low 10 day close

]



General Discussion · building a filter
Kevin_in_GA
msg #121740
10/19/2014 9:03:13 AM


Need assistance in building a filter that will look like this

1.The first candle makes a low.
2.The second candle makes a lower low.
3.The third candle makes a higher low


++++++++

Well, every candle makes a low. Not sure if you meant a lower low than the previous day but let's say that that is the case (if it is not then just remove the last line of the filter).

Fetcher[
low is above low one day ago
low one day ago is below low two days ago
low three days ago is below low 4 days ago
]



That is all you need. However, this filter does not by itself help much in selecting trades as it is too general and will return far too many candidates. I would add some additional restrictions on price and volume, like this:

Fetcher[
close is above 5
average volume(30) is above 250000
low is above low one day ago
low one day ago is below low two days ago
low three days ago is below low 4 days ago
]



Or you can get a little fancier by using the count() function and require that EVERY day of the last 30 days has had a volume of at least 250000:

Fetcher[
close above 5
count(volume above 250000,30) above 29
low is above low one day ago
low one day ago is below low two days ago
low three days ago is below low 4 days ago
]




or simply select large cap stocks to insure decent liquidity

Fetcher[
market is S&P 500
low is above low one day ago
low one day ago is below low two days ago
low three days ago is below low 4 days ago
]




Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #121663
10/6/2014 6:43:32 PM

OK - a small amount of shameless self-promotion for Pangolin IC. If I have done the code right it should update automatically.




The first month or so I was still working out some of the kinks - it ended up fine in the end but was fairly tense at times. Now I focus on taking a little less risk and less return but still focused on 1-2% per week.


Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #121649
10/4/2014 3:04:51 PM

Just a follow up on recent performance from Pangolin IC. This is every vertical spread taken since 7/15 of this year and how it played out.

Open Time ET Action Num Opened Symbol Descrip Open Price Num Closed Closed Time ET Close Price Trade P/L
9/22/2014 14:40 SELL 20 IWM1403J116 IWM Oct3'14 116 call 0.11 20 10/4/2014 9:02 0 201
9/22/2014 14:40 BUY 20 IWM1403J118 IWM Oct3'14 118 call 0.03 20 10/4/2014 9:01 0 -79
NET GAIN OF $122 AFTER COMMISSIONS

9/22/2014 14:39 SELL 20 IWM1403V107 IWM Oct3'14 107 put 0.3 20 10/4/2014 9:01 0 581
9/22/2014 14:38 BUY 20 IWM1403V105 IWM Oct3'14 105 put 0.17 20 10/4/2014 9:01 0 -359
NET GAIN OF $222 AFTER COMMISSIONS

9/22/2014 14:35 SELL 20 SPY1403J203 SPY Oct3'14 203 call 0.11 20 10/4/2014 9:01 0 201
9/22/2014 14:34 BUY 20 SPY1403J205 SPY Oct3'14 205 call 0.03 20 10/4/2014 9:01 0 -79
NET GAIN OF $122 AFTER COMMISSIONS

9/22/2014 14:33 SELL 20 SPY1403V192 SPY Oct3'14 192 put 0.35 20 10/4/2014 9:01 0 681
9/22/2014 14:33 BUY 20 SPY1403V190 SPY Oct3'14 190 put 0.26 20 10/4/2014 9:01 0 -539
NET GAIN OF $142 AFTER COMMISSIONS

9/22/2014 14:54 BUY 20 GLD1403J125 GLD Oct3'14 125 call 0.04 20 10/4/2014 9:01 0 -99
9/22/2014 15:02 SELL 20 GLD1403J121 GLD Oct3'14 121 call 0.14 20 10/4/2014 9:01 0 261
NET GAIN OF $162 AFTER COMMISSIONS

9/15/2014 15:12 BUY 20 SPY1426U190 SPY Sep26'14 190 put 0.36 20 9/27/2014 9:34 0 -739
9/15/2014 15:13 SELL 20 SPY1426U192 SPY Sep26'14 192 put 0.49 20 9/27/2014 9:34 0 961
NET GAIN OF $222 AFTER COMMISSIONS

9/15/2014 15:15 SELL 20 SPY1426I202 SPY Sep26'14 202 call 0.16 20 9/27/2014 9:34 0 301
9/15/2014 15:14 BUY 20 SPY1426I204 SPY Sep26'14 204 call 0.03 20 9/27/2014 9:34 0 -79
NET GAIN OF $222 AFTER COMMISSIONS

9/15/2014 15:42 SELL 20 GLD1426U113 GLD Sep26'14 113 put 0.2 20 9/27/2014 9:02 0 381
9/15/2014 15:42 BUY 20 GLD1426U111 GLD Sep26'14 111 put 0.14 20 9/27/2014 9:02 0 -299
NET GAIN OF $82 AFTER COMMISSIONS

9/15/2014 15:21 BUY 20 IWM1426U106 IWM Sep26'14 106 put 0.14 20 9/27/2014 9:02 0 -299
9/15/2014 15:22 SELL 20 IWM1426U108 IWM Sep26'14 108 put 0.23 20 9/27/2014 9:02 0 441
NET GAIN OF $142 AFTER COMMISSIONS

9/15/2014 15:23 BUY 20 IWM1426I120 IWM Sep26'14 120 call 0.02 20 9/27/2014 9:02 0 -59
9/15/2014 15:23 SELL 20 IWM1426I118 IWM Sep26'14 118 call 0.11 20 9/27/2014 9:02 0 201
NET GAIN OF $142 AFTER COMMISSIONS

9/15/2014 15:46 BUY 20 GLD1426I124 GLD Sep26'14 124 call 0.08 20 9/27/2014 9:02 0 -179
9/15/2014 15:47 SELL 20 GLD1426I122 GLD Sep26'14 122 call 0.23 20 9/27/2014 9:02 0 441
NET GAIN OF $262 AFTER COMMISSIONS

9/9/2014 13:46 SELL 20 IWM1420I119 IWM Sep20'14 119 call 0.12 20 9/21/2014 9:08 0 221
9/9/2014 13:45 BUY 20 IWM1420I121 IWM Sep20'14 121 call 0.03 20 9/21/2014 9:06 0 -79
NET GAIN OF $142 AFTER COMMISSIONS

9/9/2014 13:44 BUY 20 GLD1420I127 GLD Sep20'14 127 call 0.06 20 9/21/2014 9:06 0 -139
9/9/2014 13:44 SELL 20 GLD1420I125 GLD Sep20'14 125 call 0.12 20 9/21/2014 9:06 0 221
NET GAIN OF $82 AFTER COMMISSIONS

9/8/2014 15:28 SELL 20 SPY1420U193 SPY Sep20'14 193 put 0.25 20 9/21/2014 9:05 0 481
9/8/2014 15:27 BUY 20 SPY1420U191 SPY Sep20'14 191 put 0.19 20 9/21/2014 9:05 0 -399
NET GAIN OF $82 AFTER COMMISSIONS

9/8/2014 15:30 BUY 20 IWM1420U109 IWM Sep20'14 109 put 0.1 20 9/21/2014 9:05 0 -219
9/8/2014 15:32 SELL 20 IWM1420U111 IWM Sep20'14 111 put 0.16 20 9/21/2014 9:05 0 301
NET GAIN OF $82 AFTER COMMISSIONS

9/8/2014 15:22 SELL 20 GLD1420U117 GLD Sep20'14 117 put 0.23 20 9/21/2014 9:04 0 441
9/8/2014 15:22 BUY 20 GLD1420U115 GLD Sep20'14 115 put 0.11 20 9/21/2014 9:04 0 -239
NET GAIN OF $202 AFTER COMMISSIONS

9/2/2014 13:44 SELL 20 GLD1412I125.5 GLD Sep12'14 125.5 call 0.13 20 9/13/2014 9:01 0 241
9/2/2014 13:44 BUY 20 GLD1412I128 GLD Sep12'14 128 call 0.06 20 9/13/2014 9:01 0 -139
NET GAIN OF $102 AFTER COMMISSIONS

9/2/2014 13:42 SELL 20 GLD1412U117.5 GLD Sep12'14 117.5 put 0.13 20 9/13/2014 9:01 0 241
9/2/2014 13:41 BUY 20 GLD1412U115 GLD Sep12'14 115 put 0.06 20 9/13/2014 9:01 0 -139
NET GAIN OF $102 AFTER COMMISSIONS

9/2/2014 13:45 BUY 20 IWM1412U110 IWM Sep12'14 110 put 0.09 20 9/13/2014 9:01 0 -199
9/2/2014 13:46 SELL 20 IWM1412U112 IWM Sep12'14 112 put 0.16 20 9/13/2014 9:01 0 301
NET GAIN OF $102 AFTER COMMISSIONS

9/2/2014 13:47 BUY 20 IWM1412I122 IWM Sep12'14 122 call 0.03 20 9/13/2014 9:00 0 -79
9/2/2014 13:58 SELL 20 IWM1412I120 IWM Sep12'14 120 call 0.1 20 9/13/2014 9:00 0 181
NET GAIN OF $102 AFTER COMMISSIONS

9/2/2014 13:48 BUY 20 SPY1412U192 SPY Sep12'14 192 put 0.13 20 9/13/2014 9:00 0 -279
9/2/2014 13:49 SELL 20 SPY1412U194 SPY Sep12'14 194 put 0.19 20 9/13/2014 9:00 0 361
NET GAIN OF $82 AFTER COMMISSIONS

8/25/2014 13:43 SELL 20 IWM1405U111 IWM Sep5'14 111 put 0.16 20 9/6/2014 9:01 0 301
8/25/2014 13:42 BUY 20 IWM1405U109 IWM Sep5'14 109 put 0.09 20 9/6/2014 9:01 0 -199
NET GAIN OF $102 AFTER COMMISSIONS

8/25/2014 13:44 BUY 20 IWM1405I121 IWM Sep5'14 121 call 0.03 20 9/6/2014 9:01 0 -79
8/25/2014 13:44 SELL 20 IWM1405I119 IWM Sep5'14 119 call 0.1 20 9/6/2014 9:01 0 181
NET GAIN OF $102 AFTER COMMISSIONS

8/25/2014 13:40 BUY 20 SPY1405U192 SPY Sep5'14 192 put 0.12 20 9/6/2014 9:01 0 -259
8/25/2014 14:28 SELL 20 SPY1405U194 SPY Sep5'14 194 put 0.17 20 9/6/2014 9:01 0 321
NET GAIN OF $62 AFTER COMMISSIONS

8/26/2014 13:54 BUY 20 GLD1405I129 GLD Sep5'14 129 call 0.06 20 9/6/2014 9:01 0 -139
8/26/2014 13:59 SELL 20 GLD1405I127 GLD Sep5'14 127 call 0.11 20 9/6/2014 9:01 0 201
NET GAIN OF $62 AFTER COMMISSIONS

8/19/2014 9:30 SELL 20 SPY1429T190 SPY Aug29'14 190 put 0.17 20 8/30/2014 9:16 0 321
8/18/2014 15:52 BUY 20 SPY1429T188 SPY Aug29'14 188 put 0.16 20 8/30/2014 9:16 0 -339
NET LOSS OF $18 AFTER COMMISSIONS

8/18/2014 15:58 SELL 20 IWM1429H118 IWM Aug29'14 118 call 0.11 20 8/30/2014 9:00 0 201
8/18/2014 15:58 BUY 20 IWM1429H120 IWM Aug29'14 120 call 0.02 20 8/30/2014 9:00 0 -59
NET GAIN OF $142 AFTER COMMISSIONS

8/18/2014 15:54 SELL 20 IWM1429T109 IWM Aug29'14 109 put 0.15 20 8/30/2014 9:00 0 281
8/18/2014 15:53 BUY 20 IWM1429T107 IWM Aug29'14 107 put 0.09 20 8/30/2014 9:00 0 -199
NET GAIN OF $102 AFTER COMMISSIONS

8/11/2014 15:04 BUY 20 GLD1422T119 GLD Aug22'14 119 put 0.06 20 8/23/2014 9:02 0 -139
8/11/2014 15:04 SELL 20 GLD1422T121 GLD Aug22'14 121 put 0.1 20 8/23/2014 9:02 0 181
NET GAIN OF $42 AFTER COMMISSIONS

8/11/2014 15:08 BUY 20 SPY1422T184 SPY Aug22'14 184 put 0.19 20 8/23/2014 9:02 0 -399
8/11/2014 15:08 SELL 20 SPY1422T186 SPY Aug22'14 186 put 0.27 20 8/23/2014 9:02 0 521
NET GAIN OF $122 AFTER COMMISSIONS

8/11/2014 15:12 SELL 20 IWM1422H118 IWM Aug22'14 118 call 0.08 20 8/23/2014 9:02 0 141
8/11/2014 15:11 BUY 20 IWM1422H120 IWM Aug22'14 120 call 0.03 20 8/23/2014 9:02 0 -79
NET GAIN OF $62 AFTER COMMISSIONS

8/11/2014 15:37 BUY 20 IWM1422T105 IWM Aug22'14 105 put 0.11 20 8/23/2014 9:02 0 -239
8/11/2014 15:37 SELL 20 IWM1422T107 IWM Aug22'14 107 put 0.18 20 8/23/2014 9:02 0 341
NET GAIN OF $102 AFTER COMMISSIONS

8/4/2014 15:42 SELL 20 GLD1416H128 GLD Aug16'14 128 call 0.13 20 8/17/2014 9:01 0 241
8/4/2014 15:41 BUY 20 GLD1416H130 GLD Aug16'14 130 call 0.07 20 8/17/2014 9:01 0 -159
NET GAIN OF $82 AFTER COMMISSIONS

8/4/2014 15:40 SELL 20 GLD1416T120 GLD Aug16'14 120 put 0.16 20 8/17/2014 9:00 0 301
8/4/2014 15:39 BUY 20 GLD1416T118 GLD Aug16'14 118 put 0.08 20 8/17/2014 9:00 0 -179
NET GAIN OF $122 AFTER COMMISSIONS

8/4/2014 15:33 SELL 20 SPY1416T185 SPY Aug16'14 185 put 0.22 20 8/17/2014 9:00 0 421
8/4/2014 15:32 BUY 20 SPY1416T183 SPY Aug16'14 183 put 0.16 20 8/17/2014 9:00 0 -339
NET GAIN OF $82 AFTER COMMISSIONS

8/4/2014 15:36 SELL 20 IWM1416T105 IWM Aug16'14 105 put 0.17 20 8/17/2014 9:00 0 321
8/4/2014 15:36 BUY 20 IWM1416T103 IWM Aug16'14 103 put 0.11 20 8/17/2014 9:00 0 -239
NET GAIN OF $82 AFTER COMMISSIONS

8/4/2014 15:34 BUY 20 SPY1416H200 SPY Aug16'14 200 call 0.05 20 8/17/2014 9:00 0 -119
8/4/2014 15:35 SELL 20 SPY1416H198 SPY Aug16'14 198 call 0.18 20 8/17/2014 9:00 0 341
NET GAIN OF $222 AFTER COMMISSIONS

8/4/2014 15:37 SELL 20 IWM1416H116 IWM Aug16'14 116 call 0.09 20 8/17/2014 9:00 0 161
8/4/2014 15:37 BUY 20 IWM1416H118 IWM Aug16'14 118 call 0.03 20 8/17/2014 9:00 0 -79
NET GAIN OF $82 AFTER COMMISSIONS

7/28/2014 10:00 SELL 20 SPY1408T190 SPY Aug8'14 190 put 0.3 20 8/9/2014 9:02 0 581
7/28/2014 10:00 BUY 20 SPY1408T188 SPY Aug8'14 188 put 0.22 20 8/9/2014 9:02 0 -459
NET GAIN OF $122 AFTER COMMISSIONS

7/28/2014 10:02 SELL 20 IWM1408T107 IWM Aug8'14 107 put 0.21 20 8/9/2014 9:02 0 401
7/28/2014 10:02 BUY 20 IWM1408T105 IWM Aug8'14 105 put 0.13 20 8/9/2014 9:02 0 -279
NET GAIN OF $122 AFTER COMMISSIONS

7/28/2014 9:49 SELL 20 GLD1408T121 GLD Aug8'14 121 put 0.16 20 8/9/2014 9:02 0 301
7/28/2014 9:49 BUY 20 GLD1408T119 GLD Aug8'14 119 put 0.08 20 8/9/2014 9:02 0 -179
NET GAIN OF $122 AFTER COMMISSIONS

7/15/2014 12:05 SELL 20 IWM1425G118 IWM Jul25'14 118 call 0.11 20 7/26/2014 9:06 0 201
7/15/2014 12:05 BUY 20 IWM1425G120 IWM Jul25'14 120 call 0.03 20 7/26/2014 9:06 0 -79
NET GAIN OF $122 AFTER COMMISSIONS

7/15/2014 12:07 BUY 20 IWM1425S107 IWM Jul25'14 107 put 0.13 20 7/26/2014 9:06 0 -279
7/15/2014 12:07 SELL 20 IWM1425S109 IWM Jul25'14 109 put 0.24 20 7/26/2014 9:03 0 461
NET GAIN OF $182 AFTER COMMISSIONS

7/15/2014 12:08 BUY 20 SPY1425S189 SPY Jul25'14 189 put 0.18 20 7/26/2014 9:03 0 -379
7/15/2014 12:08 SELL 20 SPY1425S191 SPY Jul25'14 191 put 0.25 20 7/26/2014 9:03 0 481
NET GAIN OF $102 AFTER COMMISSIONS

7/15/2014 12:12 BUY 20 GLD1425G131 GLD Jul25'14 131 call 0.04 20 7/26/2014 9:03 0 -99
7/15/2014 12:12 SELL 20 GLD1425G129 GLD Jul25'14 129 call 0.09 20 7/26/2014 9:03 0 161
NET GAIN OF $62 AFTER COMMISSIONS

7/15/2014 12:10 BUY 20 GLD1425S119 GLD Jul25'14 119 put 0.08 20 7/26/2014 9:03 0 -179
7/15/2014 12:11 SELL 20 GLD1425S121 GLD Jul25'14 121 put 0.2 20 7/26/2014 9:03 0 381
NET GAIN OF $202 AFTER COMMISSIONS

The single losing spread was actually my fault for taking too low a premium to cover the commissions, not through any fault of the strategy. The net gain from 7/15 until today (10/4) is $5348 or 21.4% return on an initial investment of $25,000 (the amount used in Pangolin IC). This is compared to a net loss of -0.3% for the S&P 500. The system win percentage during this time was 46 for 46 (100%). My personal win percentage was 45/46 or 97.8%

Now, truth is that one totally blown spread would wipe out most of these gains, but through proper analysis of the statistics and probabilities of any sold put or call ending ITM, you can adjust your risk such that this is almost never going to happen.

The reason I am posting this is NOT to advertise the system, but rather to demonstrate that traditional stock analysis may not actually be the best approach - in fact I am coming to the conclusion that traditional indicators, regardless of how they might be combined or backtested, cannot maintain the statistical edge that one can always achieve using vertical spreads.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #121630
10/1/2014 10:41:04 AM

Fetcher[
symlist(SPY,IWM,EFA,AGG)
offset 6/30/2014
sort on column 5 descending
]



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